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Price jumps in developed stock markets: the role of monetary policy committee meetings

journal contribution
posted on 01.04.2019, 00:00 authored by R Gupta, C K M Lau, Ruipeng LiuRuipeng Liu, H A Marfatia
In this paper, we analyze the jump intensity in the Euro area, Japan, the UK and the US and measure their reactions to the US Federal Reserve meetings together with the country’s own monetary policy meetings. Evidence suggests that the jump intensity in all the markets is highly persistent. Further, the US monetary policy positively impacts the jump intensity in almost all the cases, including in the sub-sample periods found by the structural break test. Moreover, in assessing the joint effects on jump intensities, we find that the US policy dominates the monetary policy of the country itself.

History

Journal

Journal of economics and finance

Volume

43

Issue

2

Pagination

298 - 312

Publisher

Springer

Location

New York, N.Y.

ISSN

1055-0925

eISSN

1938-9744

Language

eng

Publication classification

C Journal article; C1 Refereed article in a scholarly journal

Copyright notice

2018, Springer Science+Business Media, LLC, part of Springer Nature